Turn on the ¶ mode (Show all non printing characters), so your document shows all the hidden characters as a symbol, like space and return. Then it is easier to highlight and copy them into the Advanced Replace window. Just leave the "Replace with" field blank to delete, don't put a space in there or anything, just blank. I've been doing this in Word and Excel since the early 90s, almost daily. If you do this enough, you'll get used to how it works and you won't need the ¶ mode, anymore.
This works in Office For Mac 2011 for me...I wrestled with Macro after Macro, but Word is too dumb to "get it"